Bao, Yong; Ullah, Aman; Zhang, Ru - In: Essays in honor of Peter C.B. Phillips, (pp. 65-92). 2014
An extensive literature in econometrics focuses on finding the exact and approximate first and second moments of the least-squares estimator in the stable first-order linear autoregressive model with normally distributed errors. Recently, Kiviet and Phillips (2005) developed approximate moments...
